Quantum solitons in the XXZ model with staggered external magnetic field

The 1-D 1/2-spin XXZ model with staggered external magnetic field, when restricting to low field, can be mapped into the quantum sine-Gordon model through bosonization: this assures the presence of soliton, antisoliton and breather excitations in it. In particular, the action of the staggered field opens a gap so that these physical objects are stable against energetic fluctuations. In the present work, this model is studied both analytically and numerically. On the one hand, analytical calculations are made to solve exactly the model through Bethe ansatz: the solution for the XX + h staggered model is found first by means of Jordan-Wigner transformation and then through Bethe ansatz; after this stage, efforts are made to extend the latter approach to the XXZ + h staggered model (without finding its exact solution). On the other hand, the energies of the elementary soliton excitations are pinpointed through static DMRG (Density Matrix Renormalization Group) for different values of the parameters in the hamiltonian. Breathers are found to be in the antiferromagnetic region only, while solitons and antisolitons are present both in the ferromagnetic and antiferromagnetic region. Their single-site z-magnetization expectation values are also computed to see how they appear in real space, and time-dependent DMRG is employed to realize quenches on the hamiltonian parameters to monitor their time-evolution. The results obtained reveal the quantum nature of these objects and provide some information about their features. Further studies and a better understanding of their properties could bring to the realization of a two-level state through a soliton-antisoliton pair, in order to implement a qubit.

Study of a wind-wave numerical model and its integration with ocean and oil-spill numerical models

The ability to represent the transport and fate of an oil slick at the sea surface is a formidable task. By using an accurate numerical representation of oil evolution and movement in seawater, the possibility to asses and reduce the oil-spill pollution risk can be greatly improved. The blowing of the wind on the sea surface generates ocean waves, which give rise to transport of pollutants by wave-induced velocities that are known as Stokes’ Drift velocities. The Stokes’ Drift transport associated to a random gravity wave field is a function of the wave Energy Spectra that statistically fully describe it and that can be provided by a wave numerical model. Therefore, in order to perform an accurate numerical simulation of the oil motion in seawater, a coupling of the oil-spill model with a wave forecasting model is needed. In this Thesis work, the coupling of the MEDSLIK-II oil-spill numerical model with the SWAN wind-wave numerical model has been performed and tested. In order to improve the knowledge of the wind-wave model and its numerical performances, a preliminary sensitivity study to different SWAN model configuration has been carried out. The SWAN model results have been compared with the ISPRA directional buoys located at Venezia, Ancona and Monopoli and the best model settings have been detected. Then, high resolution currents provided by a relocatable model (SURF) have been used to force both the wave and the oil-spill models and its coupling with the SWAN model has been tested. The trajectories of four drifters have been simulated by using JONSWAP parametric spectra or SWAN directional-frequency energy output spectra and results have been compared with the real paths traveled by the drifters.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.